Collinearity

Levels (ρ)

Models

T = 8

T = 16

RMSE

MAE

RMSE

MAE

−0.99

VAR(2)

N/A

N/A

2.822276

1.865384

BVAR1

3.480238

2.459911

2.924542

2.070996

BVAR2

3.475351

2.461614

2.915648

2.064497

BVAR3

3.487892

2.47295

2.8539

1.969234

BVAR4

3.520224

2.502497

2.846255

1.958829

−0.95

VAR(2)

N/A

N/A

2.92741

1.923175

BVAR1

3.513841

2.461495

2.955763

2.077187

BVAR2

3.524945

2.48011

2.93884

2.058831

BVAR3

3.463551

2.424384

2.808864

1.903786

BVAR4

3.477056

2.428536

2.779634

1.878388

−0.9

VAR(2)

N/A

N/A

2.839813

1.892972

BVAR1

3.527144

2.461289

2.957319

2.080047

BVAR2

3.510038

2.455105

2.946401

2.06848

BVAR3

3.453288

2.416771

2.80427

1.932373

BVAR4

3.423209

2.39757

2.785012

1.918003

−0.85

VAR(2)

N/A

N/A

2.803335

1.871187

BVAR1

3.503068

2.448057

2.959128

2.098831

BVAR2

3.512622

2.462979

2.967651

2.114981

BVAR3

3.422623

2.410443

2.846845

2.006635

BVAR4

3.406495

2.409279

2.831411

2.009857